I'm amazed how they were able to do the cold opening for this SS episode...

You can clearly see through the stairs under Elmo, and the shadows of his legs are on the wall of the step. So, are they using chroma key possibly? I can't think of another way other than that, because there's no way Elmo is being remote-controlled (aside from his feet, the mouth movements don't look like they're done remotely).

Seems like in cases like that, as primitive as it sounds, they use mirrors, and I think that's what they've done here - the planks and divide in the fence under the steps don't quite match the rest of the fence itself (not to mention it's not as shadowy as it should be), plus somehow, the lattice on the landing there appears to only cover the front, when it traditionally covered the back side as well.

EDIT: Actually, looking at it again, I take it back: it's not just the fence that doesn't quite line up, but if you look at the vertical posts of the staircase, you'll see a point just below Elmo where they don't quite align properly either - so I suppose what they really did was take a shot without Kevin, then overlayed that where he would otherwise be seen; sort of like split screen, if you will.

I think you might be over-thinking things! It looks to me like there's just some boards that resemble the fence just behind the stairs, in front of where the puppeteer would be. No need for post production tricks!